We use cookies to provide a user-friendly experience. By continuing to browse this site you give consent for cookies to be used. To find out more or to set your own preferences please read our cookie policy.

The sum of the differences between the percentage weight of each security in a portfolio and the percentage weighting in a benchmark or comparator index.

Annualised return (%)

An annualised total return is the geometric average amount of money earned by an investment each year over a given time period.

Annualised volatility

Annualised volatility is a statistical measure of the dispersion of returns for a given security or market index for each year over a given time period.

B

Bond floor

As a form of restriction, a floor provides a limit for a particular activity or transaction to which it must adhere. The floor functions as a lower limit.

C

Conversion price

The conversion price is the price per share at which a convertible security, such as convertible bonds or preferred shares, can be converted into common stock. The conversion price is set when the conversion ratio is decided for a convertible security.

Current Yield

Current yield is an investment's annual income (interest or dividends) divided by the current price of the security. Current yield represents the return an investor would expect to earn, if the owner purchased the bond and held it for a year. However, current yield is not the actual return an investor receives if he holds a bond until maturity.

D

Delta

A delta is a ratio, sometimes referred to as a hedge ratio. It compares the change in price of an asset with the change in price of a derivative or option based on that same asset. A delta can be either positive or negative.

Duration to put

Is the duration of the bond to the next exercise date of an option – also known as the option adjusted duration.

E

Effective duration

Effective duration is a duration calculation for bonds that have embedded options. This measure of duration takes into account the fact that expected cash flows will fluctuate as interest rates change.

Effective maturity

The length of time it takes for a bond to reach maturity, taking into consideration that certain actions, such as a call or refunding, may cause some bonds to be repaid before they mature.

I

Information ratio

The information ratio (IR) is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The benchmark used is typically an index that represents the market or a particular sector or industry.

Interest rate duration

A measure of the sensitivity of the price of a bond or other debt instrument to a change in interest rates.

M

Modified duration

Modified duration is a formula that expresses the measurable change in the value of a security in response to a change in interest rates. Modified duration follows the concept that interest rates and bond prices move in opposite directions.

N

Nominal rates duration

A measure of the sensitivity of the price of a bond or other debt instrument to a change in nominal interest rates.

P

Premium

The difference between the higher price paid for a fixed-income security and the security's face amount at issue, which reflects changes in interest rates or risk profile since the issuance date.

R

Real rates duration

A measure of the sensitivity of the price of a bond or other debt instrument to a change in real interest rates.

S

Sharpe Ratio

The Sharpe ratio is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of total risk.

Sortino Ratio

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns, called downside deviation, instead of the total standard deviation of portfolio returns which are used in a Sharpe ratio.

Spread duration

The sensitivity of the price of a bond to changes in credit spread.

T

Tracking Error

A measure of how closely the performance of an investment portfolio follows that of the reference benchmark or comparator of the fund.

W

Worst drawdown (%)

The worst observed loss from a peak to a trough of a portfolio, before a new peak is attained.

Y

Yield to Best

The greater of the yield to maturity and yield to put for a convertible bond where the investor also has a put option back to the issuer (typically at par).

Yield to maturity (%)

Yield to maturity (YTM) is the total return anticipated on a bond if the bond is held until it matures. Yield to maturity is considered a long-term bond yield but it is expressed as an annual rate.